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    Recursive Direct Algorithms for Multistage Stochastic Programs in Financial Engineering (1998)
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    Publication Date: 2021-02-01
    Description: Multistage stochastic programs can be seen as discrete optimal control problems with a characteristic dynamic structure induced by the scenario tree. To exploit that structure, we propose a highly efficient dynamic programming recursion for the computationally intensive task of KKT systems solution within an interior point method. Test runs on a multistage portfolio selection problem demonstrate the performance of the algorithm.
    Keywords: ddc:000
    Language: English
    Type: reportzib , doc-type:preprint
    Format: application/postscript
    Format: application/pdf
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